A CONTINUATION METHOD APPROACH TO FINDING THE

CLOSEST SADDLE NODE BIFURCATION POINT

Yuri V. Makarov

Ian A. Hiskens

Department of Electrical and Computer Engineering

The University of Newcastle, Callaghan, NSW, 2308, Australia

Abstract

The power ow equations f(x) generally dene a mapping from

state space to a subset of parameter space, i.e.,
?f : Rn ! L where L  Rn. The region L denes the set
of parameters for which power ow solutions exist. Therefore the inverse mapping, from parameter space to state
space is only dened inside L. This inverse mapping is
in general not unique, with a number of solutions corresponding to a given value of parameters y0 2 L. In fact,
parameter space may be divided into regions, with each
region having a dierent number of solutions for a given
value of y.
As parameters y vary, the solutions of (1) will also move
in state space. Parameters y may move to a point where
two solutions coalesce, with further variation of y resulting in the disappearance of that solution. Behaviour of
that form is referred to as a saddle node bifurcation. It
follows from the Implicit Function Theorem that at such
bifurcation points
det Dx f = det J(x) = 0
(2)
i.e., J(x) is the Jacobian matrix of f(x). Further, we
see that regions dened on the basis of the number of
solutions for a given y must be bounded by surfaces of
points satisfying (2). We shall dene the boundary as
 = f(x; y) : x; y 2 Rn; y + f(x) = 0; det J j(x;y) = 0g (3)

The paper considers the problem of nding saddle node bifurcation points which are closest (in a local sense) to the power
system operating point. This optimization problem leads to
a set of equations which describe such critical points. Not all
solutions of this set of equations are critical points. The paper
therefore explores the nature and characteristics of solutions.
A two stage algorithm is proposed for solving the critical point
problem. The rst stage is simply to nd a point on the singular surface, i.e., the surface of saddle node bifurcation points,
which lies is a specied direction. The second stage uses a
continuation method to move from that initial point to the
desired critical point. Singularity of the critical point problem
can have a signicant in uence on the robustness of the continuation method. The paper investigates singularity conditions.
The proposed algorithm is tested on an eight bus power system
example.
Keywords: stability margin calculation, power ow singularities, continuation methods

1 Introduction

The trend in modern power system operation is toward

greater utilisation of generation and transmission assets.
This necessarily means that systems must operate much
closer to stability limits. Therefore there is a need to be
able to determine those limits more accurately and reliably.
The form of the desired stability margin information
varies, depending on the type of power system investigation being undertaken. Investigations of large disturbance stability may make use of a stability margin based
on Lyapunov ideas, see [1] for example. In an operating
environment however, it is more common to use security
margins based on quasi-static properties of the system.
The power ow problem is central to this form of security
margin. The margin is generally based on some measure
of distance from the operating point to a point where the
power ow problem becomes unsolvable. This paper focusses on this latter type of security margin.
A power ow problem can be described by the set of n
nonlinear algebraic equations
y0 + f(x) = 0

The projection of  onto state space and parameter space

will be referred to as x ; y respectively. More detailed
analysis of the structure of L was undertaken in [11, 12].
The condition (2) means that at least one real eigenvalue i of J must be zero. Under certain modelling
assumptions, a zero eigenvalue of J corresponds to loss
of small disturbance stability of the system [13, 14, 15].
Therefore the `distance' from an operating point to points
where J is singular, i.e., points in , provides a useful
measure of the security of a system. As an operating point
moves nearer to , the stability region around that point
reduces [37].
An important power system control problem therefore is
to prevent an operating point from moving too close to .
That is, operating points should always be (at least) some
specied distance from . As parameters y correspond to
physical quantities that can be measured and controlled,
it is useful to consider this distance in terms of parameter
space, i.e.,
d(y) = ky ? y0 k
(4)
where y0 is the operating point, and y 2 y , i.e., y is a
point on the solution boundary [16, 17, 18, 19]. The shortest (or critical) distance miny2y d(y) gives a measure of
power system security in the most dangerous direction of

(1)

where y0 2 Rn is the vector of specied independent parameters such as active and reactiven powers of loads and
generators or xed voltages, x 2 R is the state, consisting of nodal voltages. The vector function f(x) denes
the sum of power ows or currents into each bus from the
rest of the network. If nodal voltages x are expressed in
rectangular coordinates then f(x) is a quadratic function
of x.
1

loading [19, 21, 22, 23, 24, 26, 27]. In addition, the critical vector (y0 ? y) denes the optimal way of controlling
the power system to maximise security. Its largest components indicate parameters which contribute most to the
security conditions [17, 20, 22, 26].
In this paper we address the issue of robustly nding the
minimum distance to . This question has been investigated before [19, 21, 22, 23, 24, 26, 27]. We are proposing
a continuation approach to nding the points on  which
are closest (in a local sense) to the operating point. We
call these points critical points. Singularities of the problem which aect such methods are investigated.
The paper is organised as follows. Section 2 establishes
the mathematical description of critical points. Properties
of the solutions of the critical point problem are discussed
in Section 3. Singularities of that problem are considered
in Section 4. Section 5 proposes an algorithm for nding
the critical points. An eight bus example is considered
in Section 6. An numerical technique which is useful for
the critical point algorithm of Section 5 is outlined in Appendix B.

load or generation, must always be xed. Parameters can

be eectively held constant be assigning very large values of weight coecients  in (5). However this leads
to an ill-conditioned problem, and associated numerical
diculties. We therefore adopt the following power ow
formulation.
Let m equations in (1) contain xed values of parameters y2 = y20 = const. The other (n ? m) parameters y1
are free to vary. Then the system (1) can be rewritten as
y1 + f1 (x) = 0
(8)
0
y2 + f2 (x) = 0
(9)
Using (8),(9), we see that the square of the distance d(y)
dened at (5) can be written1
d(y)2 = ky ? y0 k2
(10)
0
2
= ky1 ? y1 k
(11)
0
2
(12)
= ky1 + f1 (x)k
Consider the optimization problem
ext
ky10 + f1 (x)k2
(13)
x

2 Formulation of the problem

2.1 Parameter weighting factors

y20 + f2 (x) = 0
(14)
where `ext' denotes extrema of the cost function (13).
The optimization is subject to nonlinear constraints (14).
From (10)-(12) it can be seen that the cost function (13)
denes the square of the distance between the points y1
and y10 , with both points belonging to the constraint hyperplane y2 = y20 = const, see Figure 1.
If we dene the Lagrange function
l(x; ) = ky10 + f1 (x)k2 + 2[y20 + f2 (x)]t (15)
then the constrained optimization problem (13),(14) can
be formulated as an unconstrained problem
ext
l(x; )
(16)
x;

When considering the minimum distance from an operating point to , and optimal control strategies for increasing that distance, it is necessary to take account of
the fact that parameters may have dierent dimensions,
e.g., bus powers and nodal voltages. It may also be necessary to weight parameters of the same type dierently. For
example a small but critical load may need to be weighted
dierently to a large, but not so critical load. Further,
some parameters are xed. An example in this case would
be bus powers at nodes which have no generators or load
connected.
Therefore, to make the parameters compatible, `normalising' coecients can be used [19, 22, for example]. The
distance function would then be redened as
d(y) = k[y ? y0 ]k
(5)
where  is a diagonal matrix of weight coecients, with
diagonal elements
i = 1=yib
(6)
Each yib is a `normalising' factor for the i-th parameter.
The distance (5) can be used as an aperiodic stability (or
security) index [16, 19]. By comparing the distance d(y)
with a specied safe value of the stability index Is , it is
possible to decide whether the current operating state is
dangerous or not.
It should be noted that the yb in (6) should be constants,
and not dependent on the operating point values y0 . It
was shown in [20] that diculties arise when yb = y0 , due
to the resulting nonlinear dependence of d(y) on y0 .

Solutions of (16) satisfy the nonlinear system

J1t (x)[y10 + f1 (x)] + J2t (x) = 0
(17)
y20 + f2 (x) = 0
(18)
@f
@f
2
1
where J1 = @x and J2 = @x . This system of equations
can be written in more general form as
(x; ) = 0
(19)
Using the substitution
s = y10 + f1 (x)
(20)
in (17) allows us to represent the system (17),(18) as
2.2 Optimization formulation
?s + y10 + f1 (x) = 0
One of the rst things to consider in the formulation of
the optimization problem
y20 + f2 (x) = 0
(21)
t
t
min d(y)
(7)
J1 (x)s + J2 (x) = 0
y2y

To simplify expressions we take  = I , where I is the identity

is that not all parameters are free to vary. Some pa- matrix.
The case when  = I requires trivial transformations of all
rameters, such as power injected at buses which have no the following equations.
1

3.1 Trivial and nontrivial solutions

There are two kinds of solutions to the critical point

problem (21):
 Trivial solutions corresponding to the condition s =
0. Those solutions are actually the solutions of the
usual power ow problem (1). They are global minima (zeros) of the distance function (4). All trivial
solutions coincide in parameter space.
 Nontrivial solutions conforming to the condition s 6=
0. Those solutions belong to the singular margin 
given by (3).
Solution of (21) can result in either trivial or nontrivial
solutions, depending on initial estimates of the variables
and the numerical solution technique used for solving the
problem. A technique which produces nontrivial solutions
is proposed in Section 5.

y1
y
y 2 = const

y0

y2

y 02

3.2 Distance and the left eigenvector

Figure 1: The constraint hyperplane (14).

Let us analyze the nontrivial solutions of the system

(21). It is known, that the vector s is a normal vector to
the singular hypersurface y . However, we see from the
rst equation of (21), and (8) that at critical points, i.e.,
solutions of (21),

It is clear that the system (21) has the same solutions as

the system (17),(18), so

y1 ? y10 = y1 ? s + f1 (x) = ?s

(26)

So, because y = y20 , the compontent ?s of the vector ?s

(22) is the distance2 vector
y ? y0 .
Since the distance vector is an orthogonal vector to the
where (x; s; ) = 0 represents the system (21). The last singular hypersurface y , nontrivial solutions correspond
to local minima or maxima of the distance from the point
equation in (21) can be rewritten as
y0 to the singular margin. The minimum of the distances
with the nontrivial solution points characterizes
J t (x)s = 0
(23) associated
the \level" of power system security.
where
3.3 A graphical illustration
J t = [J1t J2t ]
(24)
The graphical illustration of a nontrivial solution point
s = [st t ]t
(25) of (21) is given by Figure 2. The solution point must
lie somewhere on the intersection of the singular margin
If s 6= 0, the Jacobian matrix J(x) is singular, and y and constraint hyperplane y2 = y20 = const. The left
the vector s is a left eigenvector corresponding to a zero eigenvector s at the nontrivial solution point y is pereigenvalue. Therefore, considering the original optimiza- pendicular to the singular boundary, and its component
tion problem (13),(14), and the condition (23) for s 6= 0, s coincides with the vector from the singular point y to
we can conclude that critical points, i.e., points on  that the operating point y0 . The component  (the Lagrange
are minimal distance (locally) from the operating point multiplier vector) of s is orthogonal to the constraint hyperplane.
y0 , satisfy the system (21).
(x; ) = 0 , (x; s; ) = 0

impact upon the critical

3 Solutions of the critical point 3.4 Constraint
distance
problem
The relative length of the vector ,

The system (21) can be considered as an extended power

ow problem where the usual power ow equations (the
l = kkskk
(27)

rst two equations in (21)) are supplemented by the singularity condition (23). State space, i.e., the space of unknown variables, is now extended to include the additional indicates the signicance of the constraint set (14) on the
optimization (13). Consider the following cases,
variables s . So the variables are (x; s) 2 R2n.
3

y2 = const
det J(x)= 0

P1 = 0.5

-s -s

V 1= 1
1 = var
j1

yo2
y2

P2 = -0.5
V 2= 1
2 = var

j1

yo

j1

V 3= 1
3= 0

Figure 3: Simple 3 bus power system.

with

@ [J t (x)s ]
(30)
D(s ) = @x

is eectively a Hessian matrix of the Lagrangian cost function (15).
It is known [28, for example] that the solution point is
1. l = 0, (s 6= 0;  = 0). The vector s lies on the cona
minimum
when the matrix J is positive denite, and a
0
straint hyperplane y2 = y2 = const, and the critical
point corresponds to a solution
of the unrestricted maximum when it is negative denite. If the Hessian matrix is indenite, the corresponding solution is a saddle.
optimization problem
All those cases can be encountered in this optimization
0 + f(x)k2
problem. To illustrate this, we consider the following simext
k
y
(28)
x
ple 3-bus power system example.
(3 bus)
Hence the constraints have no in uence on the solu- Example
Power
balance
equations for the system shown in Figtion.
ure 3 can be written as
2. l = 1, (s = 0;  6= 0). The vector s is orthogoP1 + sin(2 ? 1 ) ? sin 1 = 0
(31)
nal to the constraint hyperplane. This means that
P
2 + sin(1 ? 2 ) ? sin 2 = 0
the constraint hyperplane is tangent to the singular
margin y at the critical point. It will be shown in The values P , P are considered as free parameters y
1 2
1
Section 4.2 that the corresponding point is a singu- in (8). The voltage
magnitudes V1 = 1pu and V2 = 1pu
lar point of (21). Traditional numerical techniques
encounter diculties at such points in the same way are taken as xed parameters y20 in (9). The optimization
that power ow techniques exhibit poor convergence problem (13) therefore transforms to
near singular points. The constraints are particularly
signicant in this case.
(32)
ext [(P1 ? 0:5)2 + (P2 + 0:5)2]
1 ;2
3. 0 < l < 1, (s 6= 0;  6= 0). The corresponding nonFigure 4 shows the plane of state variables 1 ; 2, and
trivial solution is aected by the constraints (14). Figure
plane of free parameters P1 ; P2, with paramThe value of l indicates the extent to which the con- eters V 5; the
1 V2 xed. Singular margins x for the system
straints in uence the minimum distance from the op- (31) (dashed
lines) and contours of the cost function (32)
erating point to the singular margin. A small value
are plotted on the plane 1 ; 2 in Figure 4. Solutions of the
of l indicates modest in uence of constraints.
optimization problem (32) are also shown. Points A1,A2
are minima. They correspond to trivial solutions of the
3.5 Minima, maxima and saddle points critical point problem (21). A1 is the `normal' operating
point. Points marked B and C are non-trivial solutions of
The Jacobian matrix J of (21),
(21), with B1


B5 being saddle points of (32), and C1


C3
maxima. All non-trivial solutions of (21) lie on the singu2 J1(x) ?I 0 3
lar margin x.
Note that the section of x which surrounds the op7
66 J (x) 0
0 75
(29) erating point A1, i.e., the oval that contains points
J = 4 2
B1,B2,C1,C2, is of primary interest. If parameters were varied continuously from their operating point values, then
D(s ) J1t(x) J2t (x)

Figure 2: Graphical illustration of a nontrivial solution

point.

a path, beginning from A1, would be mapped out on Figure 4. Such a path would rst intersect x at a point
on that oval. At points along the path up to that singular point, all real eigenvalues of the power ow Jacobian
would be negative. At the singular point, an eigenvalue
would become zero. It the path crossed the oval transversally, then at points immediately outside the oval, one real
eigenvalue would be positive. Note that real eigenvalues
can only change sign at points on . The region contained
inside this primary section of x shall be called the security region. The primary section of x is therefore the
boundary of that region.
Figure 5 shows the sections of the singular margin y
plotted in the plane of free parameters P1; P2. The solution space L has three `layers', with each layer restricted
by a section of the singular margin. These layers re ect
the non-uniqueness of solutions of the power ow equations. Each layer eectively generates a pair of power ow
solutions. For example, there are two layers at the point
A1. Consequently, there are four distinct solutions of the
power ow problem (31). Only two of them, A1 and A2,
are shown in Figure 4.
All solutions of (32) except A2 are shown in Figure 5.
(A2 coincides with A1, so is not marked.) This gure also
shows vectors from the operating point A1 to the solutions
of (21). Each of these vectors is normal to the singular
margin y 2. The vectors A1-B1, A1-B2, A1-C1, and
A1-C2 are particularly signicant as they show the distances and direction from A1 to the critical points on the
boundary of the security region. Figure 4 shows clearly
that B1,B2 are saddle points of the optimization problem
(32). From Figure 5, we see that they satisfy (7) locally.
On the other hand, C1,C2 are local maxima of (32). They
are also points that locally satisfy maxy2y d(y).

B4
C3

2
B3

Delta 2, rad

B2

C1

A1

C2

-1

A2

-2
B1

B5
-3
-3

-2

-1

0
Delta 1, rad

Figure 4: The 1 , 2 plane for the 3 bus example.

Depending on initial guesses of variables, and the solution technique, any of the points identied in Figures 4 or
5 could be obtained as a solution of (21). As seen in the
example though, only some of those points are of interest
to us. Thus, the problem is to nd saddle points on the
boundary of the security region. This problem is quite
dierent to usual optimization problems where minima or
maxima are desired. Appropriate techniques are discussed
in Section 5.

2
C1

Comment

1.5

It is interesting to note that because J is eectively the

Hessian matrix of (15), it can be represented as a symmetric matrix by transpositions of its rows and columns. Such
transpositions give
" ?I J1(x) 0 #
~
(33)
J = J1t(x) D(s ) J2t (x)
0 J2 (x) 0
The matrix D(s ) in (33) is symmetric as its elements dij
can be expressed like

0.5

P2

B5
B2

B3
0
C3
-0.5

A1
B4

-1

-1.5

-2
-2

-1.5

-1

-0.5

0
P1

@
dij = @x
j

C2

B1
0.5

1.5

"X
n

@fk s = @
k
@xi
k=1 @xi

"X
n

@fk s = d
ji
k
k=1 @xj

Therefore J~ is symmetric.

Figure 5: The P1, P2 plane for the 3 bus example.

2 The apparent absence of orthogonality of the vectors with respect to the singular margin in Figure 5 is caused by a dierence in
the horizontal and vertical scales of the gure.

4 Singularity of the critical point

problem

In this paper we are interested in numerical techniques

for nding solutions of the critical point problem (21).
Singular points of (21) can have a signicant in uence
on the convergence characteristics of such numerical techniques. (The in uence is similar to that of a singular
power ow Jacobian on convergence of power ow algorithms.) Therefore we shall explore general conditions of
singularity, then focus on some particular cases which are
of interest. We then undertake an analysis of singular
points which is aimed at providing a better understanding of the nature and signicance of singularity.

B
d[f1 (x)]

f 1 (x)

-s

-s-ds

y0

4.1 General singularity conditions

ds

In later sections, we investigate continuation techniques

which are based on following paths along the intersection
of the solution space boundary  and the hyperplane y2 =
y20 . Therefore we are interested in singularity of the critical
point Jacobian J , given by (29), at arbitrary points on
that intersection. Such arbitrary points (x; y) are given
by
y1 + f1 (x) = 0
(34)
0
y2 + f2 (x) = 0
(35)
t
t
t
J1(x)s + J2(x) = J (x)s = 0
(36)
where s 6= 0. Linearizing gives
dy1 + J1(x)dx = 0
(37)
J2(x)dx = 0
(38)
D(s )dx + J1t(x)ds + J2t (x)d = 0
(39)
So, for small changes dx in x along the intersection of x
and the hyperplane y2 = y20 , (37)-(39) provide the corresponding changes dy1 and ds in y1 and s respectively.
Consider now a point where J is singular, i.e., a point
at which
J (x; s; )r = 0
(40)
where r 6= 0 is a right eigenvector corresponding to a zero
eigenvalue. Let r = [dxt dst dt]t . Then from (29) we nd
that at a singular point
J1 (x)dx ? ds = 0
(41)
J2(x)dx = 0
(42)
t
t
(43)
D(s )dx + J1(x)ds + J2 (x)d = 0
From (38),(39), it can be seen that (42),(43) are satised
at all points on the intersection of  and the hyperplane
y2 = y20 .
So, at a point where J is singular, a small change dx
in x will cause a change ds = J1 (x)dx in s. But (37)
indicates that the increment dx would cause y1 to change
by dy1 = ?J1 (x)dx. Therefore, at a singular point,
ds + dy1 = 0
(44)
We can rewrite (34) as
(45)
1(x; s) = ?s + y10 + f1 (x) = C

C=const
0

Figure 6: Geometrical interpretation of singularity of J

on y .
where 1 (x; s) is the rst equation of (21), and
C = ?s + y10 ? y1
(46)
is the mismatch in 1 at the current arbitrary point. (At
a solution point of (21), 1 = 0.) From (44),(46), we see
that at a singular point, the change dC in the mismatch
C in response to a change dx is
dC = ?ds ? dy1 = 0
(47)
So, at a point where J is singular, 1 (x; s) = C remains
constant for small changes in x.
Figure 6 provides a geometrical interpretation of behaviour at a singular point. The gure represents the
constraint hyperplane y2 = y20 , with the intersection of y
plotted. The sum of the vectors y10 and f1 (x) gives the
point A on y . By adding ?s, the mismatch vector C is
obtained. The tangent plane a taken at the point A is an
orthogonal plane with respect to s. Variation of x by dx
causes a small increment d[f1(x)] of f1 (x) along y . This
gives the point B, a new eigenvector ?s ? ds, and tangent
plane b. The point A on y is a singular point of J if the
mismatch vector C is constant, and the vector ?s ? ds is
directed from the new point B to the same point C. It
is easy to demonstrate that points of y form a singular
continuum if y is a part of the hypersphere whose centre
is at the point C. The equation of the hypersphere is
ky10 + f1 (x) ? C k2 ? ksk2 = 0
(48)
Linearizing (48) gives
2st (dy1 + ds) = 0
(49)
This equation satises the singularity conditions (44).
6

4.2 Particular cases of singularity

ow singularity condition (23) has a signicant in uence

on singularity of J .
This information can be particularly helpful with path
following techniques, such as those used in the algorithm
of Section 5. If a singular point is encountered as the path
is traversed, the elements of u~ provide a guide as to the
reason why the path cannot be continued.
In fact, in the vicinity of a singular point, an estimate
of u can be obtained directly from increments of the numerical technique outlined in Appendix B. To see this,
consider the general nonlinear equation
g(z; ) = 0
(51)
If, during variation of the scalar parameter , a point of
singularity is encountered, i.e., a point where
(52)
ut @g
@z = 0 u 6= 0
@g
then the curve z() tends to the right eigenvector r of @z
[39].
This can be simply proved, as follows. Suppose that the
values of z;  at the singular point are z ;  . Denote


dg 
@g 
;

=
J
(53)
g
@z  z=z
d  z=z =
g

In this section we consider three interesting cases of

singularity of J .
1. Consider the second case of Section 3.4, where the
point of interest is a point0 of tangency of the constraint hyperplane y2 = y2 and the singular margin
y . The vector s is orthogonal to the hyperplane,
so J t(x)s = J2t (x) = 0. Therefore, if r = [0 0 t ]t,
r is a right eigenvector of J correthen J r = 0, i.e.,
sponding to a zero eigenvalue. Hence J is singular.

2. It is shown in Appendix A that if the power balance

functions f(x) are formulated using the rectangular
form of voltages (rather than the polar form), J is
singular at the midpoint of a line in state space connecting any pair of distinct solutions z1 = (x1; s1 ; 1)
and z2 = (x2 ; s2; 2) of (21). Because solutions of the
power ow problem (1) are trivial solutions of (21),
it follows that J is singular at the midpoint of a
straight line in state space joining any distinct power
ow solutions.
3. Any solution point x of the power ow problem (1)
which lies on the singular margin x corresponds to
=
=
a singular point of (21). In this case, (21) is satised
by vectors x 6= 0, s = 0. Therefore, in the Jacobian
matrix J given at (29), the submatrix D(s ) is a From (51),
Jg dz +
g d = 0
(54)
zero matrix. But because x 2 x , det J(x) = 0. So
t
Multiplying (54) by u gives
det(J ) = det 2J(x) = 0
utJg dz + ut
g d = ut
g d = 0
(55)
4.3 Analysis of singular points
In general ut
g 6= 0. Therefore, at the singular point
Once a point of singularity of J has been found, it d = 0. From (54),
Jg dz = 0
(56)
is possible to obtain information about the cause of the
singularity. The following approaches are helpful.
increment dz of the curve z() at the singular point
The left eigenvector u corresponding to a zero eigen- The
therefore
aligns with the right eigenvector r.
value of J satises
The numerical method given in the Appendix B closely
follows the trajectory z(). So, the last increments of
variables
x;
s;
 obtained as the singular point is apJt (x; s; )u = 0
(50) proached
can be used to estimate the left eigenvector u,
Because D(s ) is symmetric, it follows that if r =
u  [
st
t
xt]t
(57)
[dxt dst dt]t satises (40), then u = [dst dt dxt]t satises (50). So the left eigenvector u can be obtained by 4.4 The 3 bus example (continued)
transpositions of elements of the right eigenvector r.
The role of the left eigenvector u in (50) is similar to
A graphical illustration of singularity of J for the 3
that of s in (23). Therefore u can provide information bus example is given in Figures 7 and 8. Figure
shows
about singularity of the critical point problem (21) in the curves of singularity of the Hessian matrix of (32)7 (eecsame way that s provides information about singularity tively J ), and of the Jacobian of (31). The latter are
of the power ow problem (1). Let (x; s; ) = q, i.e., q is
shown as dashed lines. Intersections of these singularity
the mismatch in the critical point equations  at the point curves,
points of singularity of J on , are marked
(x; s; ). (Of course q = 0 at a critical point.) Then u is as T1


i.e.,
T10. Figure 8 shows the solution space boundary
normal to the surface of singularity of (21) in the space of y in parameter
space. The critical points are marked,
mismatches q. Therefore normalised values u~i = ui=kuk along with the singular
points T1


T10.
of the elements of u provide qualitative information about
appears that the curves of singularity of the Hessian
the factors in uencing singularity. For example, if some of It(32)
restrict the regions of convergence (of `traditional'
values of u~ corresponding to ds are large, then the cor- numerical
techniques) that surround solutions of (32). Noresponding parameters y1 have a signicant in uence on tice in Figure
8 that along y , a point of singularity of J
singularity. Large values of u~ corresponding to d indicate that parameters y2 are signicant. Likewise, if the lies between each solution of the critical point problem.
values of u~ corresponding to dx are large, then the power Further exploration of these ideas is required.
7

5 An algorithm for nding critical points

The equations (21) that describe critical points also

have solutions that are not of interest, e.g., trivial solutions where s = 0. Therefore, an algorithm for nding
critical points must consist of two parts, (1) a way of obtaining a good estimate of the unknown state variables
x; s;  in the vicinity of the critical point, and (2) a numerical technique that will converge reliably from that
initial estimate to the critical point. Such an algorithm is
described in this section.

B4

T6
C3
T5

T2
B3

Delta 2, rad

5.1 Stage 1: Obtaining a good initial estimate

B2

C1

A1

T1

The rst stage of the critical point algorithm must produce a good estimate of state variables x; s;  in the vicinity of the critical point. To achieve this, it is necessary to
have some idea of the direction in parameter space from
the operating point to the desired critical point. In practice this requirement does not restrict the usefulness of
the method, as power system operators and planners will
usually have a good idea of the way in which parameters
of their system, such as loads, vary. Let the estimated
loading direction be
y1 . Recall y2 = y20 .
The initial estimate of the critical point can be taken
as the point on the solution boundary  in the direction

y1 from the operating point. That point is given by

y1 + y10 + f1 (x) = 0
(58)
0
y2 + f2 (x) = 0
(59)
t
J (x)s = 0
(60)
t
s s = 1
(61)
where  is the loading parameter in the specied direction
y1 , and k
y1k = 1. An alternative formulation of
(60),(61) uses the right eigenvector to achieve the singularity condition, rather than the left eigenvector s . Many
techniques have been proposed for solving this problem,
for example [2, 3, 4, 5, 6, 7]. In some cases direct methods
have been used, whilst others have applied continuation
methods [8, 9] to obtain the solution.
The numerical solution technique outlined in Appendix B can be used to obtain the desired point on . Using
that technique, the equations (58),(59) are solved for 
varying from zero to some large value l , where l is chosen to ensure that no solutions exists for the parameter
value l
y1 + y10 . The characteristics of the method ensure that it follows the line 
y1 , approaching (but not
quite reaching) the point where that line intersects . The
values of x;  given by this loading technique are then used
as initial estimates of variables for solving (58)-(61). An
estimate of s is also required. It is given by ?
y1 . This
procedure gives fast and reliable convergence.

T4
C2

-1

T8
T3

B1

T10

A2

-2
T7

B5

T9

-3
-3

-2

-1

0
Delta 1, rad

Figure 7: Power ow and critical point singularity curves

(state space).

2
C1

T2

1.5

1
T1
0.5
T9

P2

B5

B3

B2

0
T10

C3

T7

-0.5

T5

A1

B4

T6
T8

-1

T4
-1.5

B1
T3

-2
-2

-1.5

-1

-0.5

0
P1

0.5

5.2 Stage 2: Motion along the singular

margin

C2
1.5

Stage one of the algorithm provided us with a point

Figure 8: Power ow and critical point singularities (pa- on  in the vicinity of the desired critical point. Let that
rameter space).
point be x ;   ; s = [st t ]t. We now wish to move from
that point to the critical point. Consider the equations
( 
y1 + s ) ? s + y10 + f1 (x) = 0
(62)
8

y20 + f2(x) = 0
(63)
t
J (x)s = 0
(64)
The initial point x ;   ; s is a solution of (62)-(64) when
 = 1. But when  = 0, the problem is exactly that of
(21). So the critical point is a solution when  = 0. Therefore, as  is varied from 1 to 0, the solution of (62)-(64) is
distorted from the initial point given by stage one, to the
critical point. Notice that because of (64), all points along
that path lie on . Also, (63) ensures that the path lies
on the y2 = y20 hyperplane. In solving this continuation
problem, it is helpful to scale s so that ksk =   at the
initial point p = 0. This scaled s will still satisfy (64).
This problem has a form which is naturally suited to
the numerical solution technique outlined in Appendix B,
see (75). That technique has the following features:
 For an appropriate choice of the maximum deviation
g dened in (88), and the corresponding step sizes
i, the technique will follow the
linear path through
parameter space given by ( 
y1 + s ).
 The method always gives a solution if there
are no
points of singularity along the line ( 
y1 + s ).
If a singular point does occur on that line, successive iterations will approach, but never quite reach,
that point. The step size i decreases to a very small
value. The method does not diverge, but is blocked
from proceeding further along the path. It is possible
that in some cases the singular point could be stepped
over, and the solution process continued. Further exploration of these ideas is required.
 Computational time of this method is of the same
order as the Newton-Raphson method. The increase
in cost of each iteration is oset by the reduction in
the number of iterations [32].
This solution method was used for the example given in
Section 6.
An alternative approach to moving from the point given
by stage one to the critical point makes use of the equations
 
y1(1 ? p) ? ps + y10 + f1 (x) = 0
(65)
0
y2 + f2 (x) = 0
(66)
J t (x)s = 0
(67)
When p = 0, the initial point x ;   ; s satises (65)-(67).
But p = 1 corresponds to the critical point problem. So in
this case, by varying p from 0 to 1, the solution of (65)-(67)
is distorted from the stage one point to the desired critical
point. Because of (66),(67), this path again traverses the
intersection of the y2 = y20 hyperplane and . As with the
previous case, it is helpful to scale s such that ksk =   at
the initial point p = 0. Many numerical techniques exist
for solving this continuation problem [7, 8, 9]. Further
investigations of the characteristics of this approach are
required.

A
dP
s

Ps
f 1 (x)

y 1 +f1 (x)

0
y

y 01

Figure 9: Locally optimal direction of distance minimization.

y , by moving from that initial point. It is interesting to
consider which direction of movement would (locally) give
the greatest reduction in ky1 ? y10 k, whilst still maintaining
y2 = y20 .
At a point on the power ow solution space boundary
y , the surface y can be approximated (locally) by its
tangent hyperplane P . Of interest are the intersections
of y and P with the y2 = y20 hyperplane. These intersections shall be referred to as y1 and Ps respectively.
Figure 9 shows a point y1 = ?f1 (x) (marked A) on y1 ,
and the hyperplane Ps which is tangent to y1 at that
point. It can be seen from Figure 9 that at point B, i.e.,
the point on Ps which is closest to the operating point y10 ,
the vector from y10 to B is orthogonal to Ps. Therefore,
if y1 was the plane Ps , the distance ky1 ? y10 k would be
minimized by moving from A to B, i.e., along the vector
dP 2 Ps . So dP gives the locally optimal direction in
which to move to minimize ky1 ? y10 k.
We can use these ideas to investigate solution motion
for the rst solution approach considered for stage two in
Section 5.2. The governing equations are (62)-(64). Consider (62), with (63) satised at all points. Figure 9 shows
that the projection of y10 + f1 (x) onto Ps coincides with
dP . From Figures 2 and 9, it is clear that s is orthogonal
to Ps , so its projection onto Ps is a point. Therefore, (62)
provides a connection between the projections onto Ps of
( 
y1 + s ) = 
y and y10 + f1 (x), viz.,
(
y )P + (y10 + f1 (x))P = 0
So,

5.3 Locally optimal direction of distance

minimization

? (
y )P = (y10 + f1 (x))P = dP

(68)

(69)
During the solution process,  is varied from 1 to 0.
Stage one of the critical point algorithm provides a point We see from (69) that the component of motion in the Ps
on the intersection of  and the y2 = y20 hyperplane. Stage plane is in the (locally) optimal direction. (Note though
two seeks to minimize the distance ky1 ? y10 k, where y1 2 that there may be a component of motion normal to Ps.)
9

Table 3
Complex bus voltages at the operating point
5
G
G1

L5

3
L3

L7

G6

Figure 10: Eight bus test power system.

1
2
3
4
5
6
7
8

Table 1
Bus parameters for the 8-bus system

Generation, voltage
Active
power
MW
32.0
600.0
-

1
2
3
4
5
6
7
8

Fixed
voltage
kV
220.0
220.0
220.0
-

Node
p

Voltage
kV

1
3
5
7

167.10-j30.71
202.51+j48.54
188.92+j37.88
169.10-j29.41

2
4
6
8

218.13+j28.63
206.19+j76.72
220.00+j0.00
187.75+j8.60

I-st critical point

Bus
p

Bus
no.
p

Voltage
kV

Table 4
The closest singular points (critical points

Node
p

Load
Active
power
MW
16.0
64.0
256.0
1020.0
-

Reactive
power
Mvar
10.0
40.0
160.0
640.0
-

6 An 8 bus example

The algorithm of Section 5 was tested on the eight bus

example shown in Figure 10. Operating point values of
generation and load parameters are given in Table 1. The
system contains three generators with xed terminal voltage, and four nonzero loads. Bus 6 is the slack bus. The
nominal voltage of all buses is 220kV. The electrical network consists of 9 lines. Their parameters are given in
Table 2.
The voltage prole at the operating point is given in
Table 2
Impedances for the 8-bus system

Impedance
Zpq ; Ohm

Buses
p-q

Impedance
Zpq ; Ohm

1-7
2-8
3-8
5-8
7-8

5.41+j20.8
13.9+j53.4
18.4+j70.8
10.9+j69.9
4.35+j27.0

2-3
3-4
4-5
6-7

15.85+j61
6.09+j23.4
3.38+j21.6
2.03+j10.0

Vector
y ? y0
MW
Mvar
or kV2
-48.5
0.0
0.0
0.0
0.0
0.0
199.8
0.0
210.4
0.0
0.0
0.0
0.0
0.0
0.0
0.0

Eigenvector
MW
Mvar
or kV2
48.5
94.1
-238.5
-1.3
-217.7
8.2
-199.8
-0.8
-210.4
11.8
-1263.0
0.0
32.3
90.3
-188.0
109.6

Voltage
kV
Re/Im
81.6
-74.4
219.1
20.4
199.3
45.5
206.0
77.2
184.5
37.9
220.0
0.0
133.9
-42.7
171.0
1.0

Vector
y ? y0
MW
Mvar
or kV2
-297.8
0.0
0.0
0.0
0.0
0.0
25.3
0.0
22.5
0.0
0.0
0.0
0.0
0.0
0.0
0.0

Eigenvector
MW
Mvar
or kV2
297.8
232.0
-23.9
-0.5
-23.5
9.1
-25.3
-0.5
-22.5
12.5
-1826.3
0.0
64.6
115.8
-3.6
53.1

Table 3. Due to the lack of reactive power in the system, voltage magnitudes at buses 1, 7, and 8 are very low
(0.77pu, 0.78pu, and 0.85pu respectively).
The aim of the example was to determine the closest
points on the power ow solution boundary  (the critical
points), if the real power injections at buses 1, 4, and
5 were free parameters, i.e., allowed to vary from their
operating point values. Two critical points were obtained
using the algorithm of Section 5. Details of these points
are given in Table 4. The length of the vector y ? y0
is 294.1MW for the rst critical point, and 299.7MW for
the second critical point. In both cases the angle between
y ? y0 (columns 3, 6 in Table 4) and s, which is formed
from the elements of the left eigenvector s (columns 4, 7
in Table 4) that correspond to free parameters, is equal to
180deg.
In obtaining these solutions, a number of dierent loading directions
y1 were used in the rst stage of the critical point algorithm. These loading directions are given
in Table 5 (columns 2 to 4). The loading directions gave
dierent points on the solution boundary . Each of these
points was used as the starting point for the second stage
of the critical point algorithm. Table 5 (columns 5, 6)
shows convergence results for the second stage when the
solution technique of Appendix B was used. Column 6 indicates which critical point was converged to, or whether
a singular point (s.p.) was encountered. Figure 11 shows
trajectories of the second stage solution process. Each
trajectory starts from the point on  obtained from stage
one for the dierent loading directions. The labels of these
starting points correspond to the loading directions given
in Table 5.
The following observations were made about the stage
two solution process:

Further, as  reduces from 1 to 0, the vector (
y )P will

reduce to zero. From (68), the vector (y10 + f1 (x))P will
also reduce to zero. It follows that ky10 +f1 (x)k = ky1 ?y10 k
must reduce along the continuation path. Therefore this
approach will never converge to solutions of (21) that are
maxima.

Buses
p-q

Voltage
kV
Re/Im
126.7
-27.9
123.3
182.2
50.3
181.7
2.9
219.9
24.4
173.7
220.0
0.0
133.0
-19.2
95.3
91.2

II-nd critical point

10

Table 5
Initial directions and convergence of the method

Initial loading directions

Convergence results

Experiment

P1
MW

P4
MW

P5
MW

Number of
iterations

Solution

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25

300.0
0.0
0.0
-300.0
0.0
0.0
300.0
300.0
0.0
300.0
300.0
0.0
-300.0
-300.0
0.0
300.0
-300.0
300.0
300.0
300.0
-300.0
-300.0
-300.0
-48.5
-297.8

0.0
300.0
0.0
0.0
-300.0
0.0
300.0
0.0
300.0
-300.0
0.0
300.0
300.0
0.0
-300.0
300.0
300.0
-300.0
300.0
-300.0
300.0
-300.0
-300.0
199.8
25.3

0.0
0.0
300.0
0.0
0.0
-300.0
0.0
300.0
300.0
0.0
-300.0
-300.0
0.0
300.0
300.0
300.0
300.0
300.0
-300.0
-300.0
-300.0
300.0
-300.0
210.4
22.5

24
4
4
4
7
6
4
7
8
6
4
22
5
4
10
0
0

I
I
I
II
s.p.
s.p.
I
I
I
s.p.
s.p.
s.p.
II
II
s.p.
I
I
I
s.p.
s.p.
II
II
II
I
II

700
650
600

Distance, MW

550
500
450

Singular points

400
350
Solution II
300
Solution I
250
200
1

6
Iterations

10

11

Figure 12: Distance changes during the stage two iterative

process.

 The iterative solution process always moved along the

solution space boundary , i.e., one eigenvalue of the

power ow Jacobian J(x) was always zero.
 The distance d(y) = ky ? y0 k steadily decreased as
the iterative process moved from the initial point on
 given by stage one, to the nal point (either of the
critical points, or a singular point). This behaviour
is shown in Figure 12.
 In most cases solutions were obtained after 4-8 iterations. More iterations were required (10-24), and
singular points were encountered, when inappropriate
initial loading directions
y1 were chosen.
 Convergence to trivial solutions or maxima never occured.

14
22

13
21

500

17
9

P5

7 Conclusions

2
16

II

The minimum distance from an operating point to the

power ow solution space boundary gives a measure of the
security of a power system. Points which (locally) provide
this minimum distance satisfy a constrained optimization
problem. The optimization problem leads to a set of equations which describe such critical points. Not all solutions
of this set of equations are critical points however. Trivial
solutions correspond to solutions of the usual power ow
problem. Other nontrivial solutions describe extrema of
the optimization problem that are not of interest. Care
must therefore be taken to ensure that algorithms for nding critical points do in fact nd the correct type of points.
A two stage algorithm can be used to nd critical points.
Because there may be many critical points, it is necessary
to provide an estimate of the direction in parameter space
of the desired critical point. The rst stage of the algorithm nds a point on the solution space boundary which
lies in that specied direction. The second stage uses a

7
12

23

18

-500

20
11

10

-400

600
400

-200

200

200

-200

400

-400

600
800

-600
-800

P4

P1

Figure 11: Trajectories of the stage two iterative process

in the space of free parameters.

11

continuation method to move from that initial point to

the desired critical point. Two ways of formulating the
continuation problem are given in the paper. A numerical technique that can be used to solve the continuation
problem is outlined.
The proposed algorithm converges reliably to desired
critical points under normal conditions. However, if a very
bad estimate of the direction of the critical point is used,
singularity of the Jacobian of the critical point equations
may occur. Information contained in the left eigenvector
of the Jacobian can be used to determine the nature and
cause of the singularity.

[13] V.A. Venikov, V.A. Stroev, V.I. Idelchik, et. al., \On denition
of electrical system steady-state aperiodic stability limits using the load ow equation Jacobian", Izvestia Akademii Nauk
SSSR, Energetika i transport, No. 1, 1973, pp. 46-53 (in Russian).
[14] V.A. Venikov, V.A. Stroev, V.I. Idelchik and V.I. Tarasov,
\Estimation of electrical power system steady-state stability",
IEEE Transactions on Power Apparatus and Systems, Vol.
PAS-94, May/June 1975, pp. 1034-1043.
[15] P.W. Sauer and M.A. Pai, \Power system steady-statestability
and the load ow Jacobian", IEEE Transactions on Power
Systems, Vol. 5, No. 4, November 1990, pp. 1374-1383.
[16] V.A. Venikov, V.P. Vasin, V.A. Stroev and V.I. Idelchik, \Consideration of the steady-state stability constraints during load
ow computations for complicated electrical systems", Izvestia
Akademii Nauk SSSR, Energetika i transport, Vol. 2, 1973, pp.
51-56 (in Russian).

Acknowledgement

This work was sponsored in part by an Australian

Electricity Supply Industry Research Board project grant
\Voltage Collapse Analysis and Control".

[17] F.D. Galiana and J. Jarjis, \Feasibility constraints in power

systems", IEEE PES Summer Meeting, Paper No. A78 560-5,
Los Angeles, CA, July 1978.
[18] J. Jarjis and F.D. Galiana, \Quantitative analysis of steady
state stability in power networks", IEEE Transactions on
Power Apparatus and Systems, Vol. PAS-100, No. 1, January
1981, pp. 318-326.
[19] V.A. Venikov, V.A. Stroev, L.A. Vinogradov and V.I. Idelchik,
\Computations of the power system steady-state stability index", Izvestia Akademii Nauk SSSR, Energetika i transport,
Vol. 2, 1984, pp. 55-64 (in Russian).

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[24] I. Dobson, L. Lu, and Y. Hu, \A direct method for computing
a closest saddle node bifurcation in the load power parameter space of an electric power system", IEEE Int. Symp. on
Circuits and Systems, Singapore, June 1991, pp. 3019-3022.
[25] I. Dobson, \Observations on the geometry of saddle node bifurcation and voltage collapse in electric power systems", IEEE
Transactions on Circuits and Systems, Part 1, Vol. 39, No. 3,
March 1992, pp. 240-243.
[26] I. Dobson and L. Lu, \New methods for computing a closest
saddle node bifurcations and worst case load power margin for
voltage collapse", IEEE Transactions on Power Systems, Vol.
8, No. 3, August 1993, pp. 905-913.
[27] F. Alvarado, I. Dobson, and Y. Hu, \Computation of closest
bifurcations in power systems", IEEE PES Summer Meeting,
Paper No. 93 SM 492-9 PWRS, Vancouver, B.C., Canada, July
1993.
[28] J.E. Dennis and R.B. Schnabel, Numerical methods for unconstrained optimization and nonlinear equations, Mir, Moscow,
1988.

12

where (z1 ) = (z2 ) = 0, and W is the quadratic term

of the expansion. The vector W has dimension 2n. Its
elements are given by

[29] A.M. Kontorovich and N.P. Dunaeva, \Investigation of load

ow methods based on the Taylor expansion of a solution",
Proceedings: Primenenie matematicheskih metodov pri upravlenii regimami i razvitiem elektricheskih sistem, Irkutsk,
1978, pp. 65-74 (in Russian).
[30] A.M. Kontorovich, Y.V. Makarov and A.A. Tarakanov, \Improved methods for load ow analysis", Acta Polytechnica,

Prace CVUT
v Praze, Vol. 5/III, No. 1, 1983, pp. 121-125.
[31] A.M. Kontorovich, \A direction of investigations of the load
ow problem", Trudy LPI, No. 406, 1985, pp. 18-25 (in Russian).
[32] Y.V. Makarov, Load ow calculation methods for information
and control systems (ICS) used in power system control, PhD
thesis, The Leningrad Polytechnical Institute, Leningrad, 1984
(in Russian).
[33] G.A. Korn and T.M. Korn, Mathematical Handbook for Scientists and Engineers, McGraw-Hill Book Company, New
York, 1968.
[34] V.I. Tarasov, \Implementation of a permanent loading procedure to denition of load ows on a limit of aperiodic steadystate stability", Proceedings: Voprosy primenenija matematicheskih metodov pri upravlenii regimami i razvitiem elektricheskih sistem, Irkutsk, 1975, pp. 50-56 (in Russian).
[35] V.A. Matveev, \A method of numeric solution of sets of nonlinear equations", Jurnal Vychislitelnoi Matematiki i Matematicheskoi Fiziki, Vol. 4, No. 6, 1964, pp. 983-994 (in Russian).
[36] A.M. Kontorovich, Y.V. Makarov and A.A. Tarakanov, \Improvements of a permanent loading technique to compute load
ows on stability margin", Trudy LPI, No. 380, 1982, pp. 37-41
(in Russian).
[37] C.L. DeMarco and A.R. Bergen, \A security measure for random load disturbances in nonlinear power system models",
IEEE Trans. on Circuits and Systems, Vol. 34, No. 12, December 1987, pp. 1546-1557.
[38] Y.V. Makarov and I.A. Hiskens, \Solution characteristics of
the quadratic power ow problem", Technical Report EE9377,
Department of Electrical and Computer Engineering, The University of Newcastle, Australia, May 1994 (Revised).
[39] I. Dobson, et. al., \A model of voltage collapse in electric power
systems", Proc. 27th Conf. on Decision and Control, Austin,
Texas, December 1988, pp. 2104-2109.
[40] A.M. Kontorovich and Y.V. Makarov, \Methods of load ow
computations using high order terms of Taylor series expansions", Technical Report EE9426, Department of Electrical
and Computer Engineering, The University of Newcastle, Australia, July 1994.

wi (z2 ? z1 ) =

2n X
2n @ 2 
X
i
@zk @zl (z2;k ? z1;k )(z2;l ? z1;l ) (71)

k=1 l=1

As the elements of the Hessian matrices in (71) are constants, it is clear that
W (z2 ? z1 ) = W (z1 ? z2 )
So, from (70), we get

J (z1 ) + J (z2 ) (z1 ? z2 ) = 0

(72)

Because all elements of J (z) are linear functions of z,

(72) becomes
z + z 
2J 1 2 2 (z1 ? z2 ) = 0
(73)
Now z1 6= z2 , so the matrix J calculated at the point
(z1 + z2 )=2 is singular.
For a pair of distinct trivial solutions of (21), i.e., power
ow solutions, we obtain
 x + x  " x1 ? x 2 #
0
=0
(74)
J 1 2 2 ; 0; 0
0
indicating singularity of J at the point (x1 + x2)=2. It
should be noted that the Jacobian of the quadratic power
ow problem (1) is singular at the same point. It can be
proved in the same way [38].

B A numerical solution technique

A numerical technique which can be applied to both
stages of the critical point algorithm of Section 5 is outlined in this appendix. The method has a number of characteristics which are very useful for the algorithm. It was
originally developed in [29, 30, 31]. Generalizations and
improvements were presented in [32].

A Midpoint singularity of J
If voltages are expressed in rectangular form, then f1 (x)
and f2 (x) are quadratic functions of x. The Jacobians
J1 (x) and J2(x) are then linear functions of x. It follows
that the critical point function (x; s; ) described by (21)
is a quadratic function of x; s; .
Let z1 = (x1 ; s1; 1 ) and z2 = (x2 ; s2; 2 ) be solutions
of (21), with z1 6= z2 . Then the Taylor series expansion of
 yields
(z2 ) = (z1 ) + J (z1 )(z2 ? z1 ) + 21 W (z2 ? z1 )
(z1 ) = (z2 ) + J (z2 )(z1 ? z2 ) + 21 W (z1 ? z2 )
(70)

B.1 Solution motion and its Taylor series

expansion

Let us consider a general set of smooth nonlinear equations

g(z; ) = 
g + g(z) = 0
(75)
where z is a vector of dependent variables,  is a scalar
parameter, and
g is a vector of increments.
@g is nonsingular, then the function g(z; ) can be
If @z
considered as an implicit function which denes the dependence z(). Dierentiation of (75) yields
@g dz + dg = 0
(76)
@z d d
13

where i is the iteration number and
zk;i is the k-th correction vector. The correction coecient i in uences
convergence reliability. This is discussed further in Section B.3. It can be easily shown that for K = 1, (82) corresponds to the Newton-Raphson method with an optimal
multiplier. If K > 1, then (82) becomes a generalization
of the Newton-Raphson method which takes into account
nonlinear terms of the Taylor series expansion. The linear
approximation of g(z) that is used in the Newton-Raphson
(78) method is replaced by an approximation that is nonlinear.

or

@g dz
(77)
@z d +
g = 0
@g
If the Jacobian matrix @z
is nonsingular, we get the differential equation

 
dz = ? @g ?1
g
d
@z
The equation (78) denes motion of a solution of (75) as B.2 Computation of the correction vecthe parameter  varies.
tors
zk
A solution of (78) can be represented as the Taylor series
Expressions for correction vectors
zk can be obtained
expansion [33]
by successive dierentiation of (77) with respect to . Fol0
1
lowing the ideas of [32], we set  = ( 0 ? ) = 1 in (75)
1 1 dk z 
X
and express g(z) as a Taylor series, so giving
z() = z 0 + k! B
@ dk  =0 CA ( ? 0 )k (79)
k=1
(1 ?  0 )
g = g(z)
z=z0
1
X
where  =  0 , z = z 0 is a solution of (75). Substituting
= g(z 0 ) + Jg (z 0 )
z + l!1 Wl (
z;
| {z

;
z}) (83)
 = ( 0 ? ) gives
l=2
l
1 k
X

where Jg (
) is the Jacobian matrix, and Wl (
) is the l-th

(80) order term
of the Taylor series. It is shown in [40] that by
k=1
substituting
K
X
where


z = k!1
zk
(84)
kz 
d
k=1

zk = dk  =0
(81)
into (83), the following expressions can be obtained
z=z0
The expansion (80) represents the solution function z()
z1 = ?Jg?1 (z 0 )[( 0 ? 1)
g + g(z 0 )] = Jg?1(z 0 )
g
as a polynomial of the scalar parameter . It can be used

z2 = ?Jg?1 (z 0 )[W2 (
z1;
z1)]
in two ways.
?1 0
1. If  0 = 1, and
g is thought of as a mismatch vector
z3 = ?Jg (z )[3W2(
z1 ;
z2)
+ W3 (
z1;
z1;
z1)]
of (75) at the point z = z 0 , then if the series expansion
(80) converges for  = 1, it will give a solution of the
..
.
(85)
problem g(z) = 0. Using this idea, (80) can be used
0
for solving the power ow problem (1), or for solving
the critical point problem (21).
BBX
i
X
B
?
1
0
0
0
2. For z corresponding to  =  = 0, and any given
zi = ?i!Jg (z ) B
B@ l=2  s ; s ;


; sK = 0;

; l 

g, (75) can be considered as a loading procedure,
1 2
s1 + s2 +


+ sK = l
with z() in (80) giving the loading trajectory in the
s1 + 2s2 +

KsK = i
space of dependent variables z. For example, (80)
1
could be used in the rst stage of the proposed critical
;



;

z
;



;

z
)
W
;



;

z
K
K
l (
z
1
1
| {z } | {z } C
point algorithm to obtain a point on the power ow
s1
sK
C
singular margin.
s1 (2!)s2


(K!)sK s1 !s2!


sK ! C
A
(1!)
Note that the trajectory z() given by (80) corre0
sponds to motion along the direct line ( ? )
g in
the space of parameters g.
high order terms Wl (
) in (85) can be expressed
Due to the possibility of poor convergence of the series The
through
values of the function g(z) [32]. For example,
(80), and the impracticality of computing an innite num- if (75) was
a set of quadratic equations, then for K = 5
ber of
zk , the summation (80) must be restricted to a we obtain the
following recurrent equalities [32]
nite number of terms K. Accordingly, (80) becomes an
iterative procedure

z1 = ?Jg?1 (z 0 )[( 0 ? 1)
g + g(z 0 )] = Jg?1(z 0 )
g
K k
X

z2 = ?Jg?1 (z 0 )[W2 (
z1;
z1)]
(82)
zi+1 = zi + k!i
zk;i

z3 = ?Jg?1 (z 0 )[3W2(
z1 ;
z2)]
(86)
k=1
z() = z 0 +

k!
zk

14


z4 = ?Jg?1 (z 0 )[3W2(
z2 ;
z2) + 4W2(
z1 ;
z3)]

z5 = ?Jg?1 (z 0 )[5W2(
z1 ;
z4) + 10W2(
z2 ;
z3)]
where
W2 (
zi ;
zj ) = g(
zi +
zj ) ? g(
zi) ? g(
zj ) + g(0)
(87)
The expressions (86),(87) are used at each iteration (82)
of the method.

B.3 Correction coecients

To provide reliable convergence of the method, it is necessary to use appropriate values of the correction coecients i in (82). The correct choice of i gives direct
motion in the space of parameters g. It was shown in
[32] that the deviation of the method from the direct line
( 0 ? )
g can be evaluated by the norm

!
K k

z  
(0 ? )
g + g z0 + X
g
k

k=1 k!

(88)

It is clear that for  = 0 the norm (88) is equal to zero.

Increasing  results in the method taking larger steps,
but the deviation (88) can also increase. However, having
calculated the correction vectors zk;i at the i-th iteration,
and knowing the specied maximum deviation g , it is
not dicult to obtain the corresponding value of i which
keeps the deviation (88) within the desired accuracy g . If
the value of g is small enough, the method will converge
up to a singular point of (75) [32].

15